ASML Stock Price Analysis

Project of Time Series Analysis for Economic and Financial Data

Daniele Tambone

2026-01-28

Introduction

Project Overview

  • Objective: Time series analysis of ASML Holding NV’s Adjusted Closing Prices
  • Data Source: Yahoo Finance
  • Period:
    • from: 2000-01-01
    • to: 2025-12-31.

EDA

Adjusted Closing Prices

Key Observations:

  • The series is clearly non-stationary.
  • Visible upward trend, especially post-2017.
  • Variance increases with price level.

Log-Returns Visualization

Graphical representation

Synthetic indicators

Test of normality

Returns Analysis

ACF and PACF

AIC vs BIC

Forecast: plot

Forecast: metrics

Volatility Analysis

Squared and Absolute Returns

ACF vs PACF

Testing for ARCH Effects and Asymmetry

Engle’s ARCH-LM Test for Volatility Clustering
Lag Statistic P_Value Conclusion
5 870.6743 <0.001 Reject H0
10 983.5287 <0.001 Reject H0
20 1086.0646 <0.001 Reject H0
Engle-Ng Tests for Asymmetry (Leverage Effect)
Test t_value Prob Result
Sign Bias 0.6959 0.487 Symmetry
Negative Sign Bias 0.3047 0.761 Symmetry
Positive Sign Bias 0.1086 0.914 Symmetry
Joint Effect 1.6374 0.651 Symmetry

Forecast: plot

Forecast: metrics

Value at Risk (VaR)

Thanks!


Author: Daniele Tambone